Indifference pricing with uncertainty averse preferences

Giammarino, Flavia and Barrieu, Pauline ORCID: 0000-0001-9473-263X (2013) Indifference pricing with uncertainty averse preferences. Journal of Mathematical Economics, 49 (1). pp. 2-15. ISSN 0304-4068

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Abstract

We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision maker. We study how the indifference valuation depends on the decision maker's attitudes toward uncertainty. We obtain a characterization of comparative uncertainty aversion and various characterizations of increasing, decreasing, and constant uncertainty aversion.

Item Type:	Article
Official URL:	http://www.journals.elsevier.com/journal-of-mathem...
Additional Information:	© 2012 Elsevier
Divisions:	Statistics Centre for Analysis of Time Series
Subjects:	H Social Sciences > HG Finance Q Science > QA Mathematics
JEL classification:	C - Mathematical and Quantitative Methods > C0 - General
Date Deposited:	15 Oct 2012 10:27
Last Modified:	12 Dec 2024 00:19
URI:	http://eprints.lse.ac.uk/id/eprint/46753

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